Evaluating ruin probabilities: a streamlined approach

MaRDI QIDQ5049867zbMATH OpenFDO

Authors Paolo De Angelis, Roberto De Marchis, Mario Marino, Antonio Luciano Martire, I. Oliva

Publication date 14 November 2022

Full work available at URL http://www.math.nthu.edu.tw/~amen/2021/AMEN-201113.pdf

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Mathematics Subject Classification ID

Volterra integral equations (45D05) Numerical methods for integral equations (65R20) Risk models (general) (91B05)

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Cites work

• A new numerical method for a class of Volterra and Fredholm integral equations
• A numerical method to find the probability of ultimate ruin in the classical risk model with stochastic return on investments
• A solution to the ruin problem for Pareto distributions.
• A stronger version of the second mean value theorem for integrals
• A survey of some recent results on risk theory
• Approximation of the ultimate ruin probability in the classical risk model using Erlang mixtures
• Asymptotic expansions for waiting time probabilities in an \(M/G/1\) queue with long-tailed service time
• Asymptotic ruin probabilities when exponential moments do not exist
• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• scientific article; zbMATH DE number 3671542 (Why is no real title available?)
• scientific article; zbMATH DE number 1128584 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• Risk theory
• Ruin estimates for large claims
• Ruin probabilities in classical risk models with gamma claims
• Ruin theory with compounding assets -- a survey
• Simulating level-crossing probabilities by importance sampling
• Simulating Ruin Probabilities for a Class of Semimartingales by Importance Sampling Methods

Cited in

(7)

• Calculation of the probability of eventual ruin by Beekman's convolution series
• Further use of Shiu's approach to the evaluation of ultimate ruin probabilities
• Computational methods in risk theory: a matrix-algorithmic approach
• Calculating multivariate ruin probabilities via Gaver-Stehfest inversion technique
• scientific article; zbMATH DE number 1031904 (Why is no real title available?)
• scientific article; zbMATH DE number 1865409 (Why is no real title available?)
• A Functional Approach for Ruin Probabilities

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